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Measuring option implied degree of distress in the US financial sector using the entropy principle
Matros, Philipp; Vilsmeier, Johannes - 2012
We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are...
Persistent link: https://www.econbiz.de/10009674908
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The effects of regional banks on economic resilience during the COVID-19 pandemic and the global financial crisis a cross-country comparison of the European countries
Flögel, Franz; Hejnová, Tereza - 2021
bank headquarter locations in a cross-country comparison to investigate whether a decentralised geographical structure …
Persistent link: https://www.econbiz.de/10012793620
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Sovereign risk and bank fragility
Anand, Kartik; Mankart, Jochen - 2020
We develop a model of bank risk-taking with strategic sovereign default risk. Domestic banks invest in real projects … their default risks through purchases of bonds. But, for high debt levels, this influence is lost since bank and government …
Persistent link: https://www.econbiz.de/10012301195
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The real effects of bank distress : evidence from bank bailouts in Germany
Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019
How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …
Persistent link: https://www.econbiz.de/10012108717
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Spillovers of U.S. unconventional monetary policy to emerging markets : the role of capital flows
Anaya Longaric, Pablo Andrés; Hachula, Michael; … - 2015 - This version: November 2, 2015
A growing literature stresses the importance of the “global financial cycle”, a common global movement in asset prices and credit conditions, for emerging market economies (EMEs). It is argued that one of the key drivers of this global cycle is monetary policy in the U.S., which is...
Persistent link: https://www.econbiz.de/10011405101
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On the performance of differently regulated financial institutions : some empirical evidence
Steinherr, Alfred; Huveneers, Christian - 1992
Persistent link: https://www.econbiz.de/10000847452
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Antiquity and capitalism : the finance-growth perspective
Dombi, Akos; Grigoriadis, Theocharis; Zhu, Junbing - 2020
This paper explores the impact of antiquity on capitalism through the finance-growth nexus. We define antiquity as the …
Persistent link: https://www.econbiz.de/10012214952
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Does financial literacy improve financial inclusion? : cross country evidence
Grohmann, Antonia; Klühs, Theres; Menkhoff, Lukas - 2018
While financial inclusion is typically addressed by improving the financial infrastructure, we show that a higher degree of financial literacy also has a clear beneficial effect. We study this effect at the cross-country level, which allows us to consider institutional variation. Regarding...
Persistent link: https://www.econbiz.de/10011902705
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Natural resources, demand for external finance and financial development
Hattendorff, Christian - 2014
The paper contributes to the ongoing debate on the natural resource curse, which postulates a negative link between natural resource abundance and economic growth. It shows empirically that resource-rich countries appear to have a less developed financial system and investigates a potential...
Persistent link: https://www.econbiz.de/10010433905
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Credit risk connectivity in the financial industry and stabilization effects of government bailouts
Bosma, Jakob; Koetter, Michael; Wedow, Michael - 2012
that failed during the 2007/2008 crisis. Excess equity returns in response to bank bailouts are overall negative and …
Persistent link: https://www.econbiz.de/10009566462